In the proceedings of the Conference on Decision and Control, pp. 2398-2403, 2008 (G. Calafiore and L. El Ghaoui).
@INPROCEEDINGS{4738700,
title={Multistage investments with recourse: A single-asset case with transaction costs},
author={Topcu, U. and Calafiore, G. and El Ghaoui, L.},
booktitle={Decision and Control, 2008. CDC 2008. 47th IEEE Conference on},
year={2008},
month={Dec.},
volume={},
number={},
pages={2398-2403},
abstract={We consider a financial decision problem involving dynamic investment decisions on a single risky instrument over multiple and discrete time periods. Investment returns are assumed stochastic and possibly dependent over time, and proportional transaction costs are considered in the model. In this setting, the investorpsilas goal is to determine investment policies that maximize the net profit while maintaining the associated risk under control. We propose approximations of the ensuing stochastic multistage optimization problem that are based on affine recourse strategies and that lead to efficiently solvable second order cone or semidefinite programs.},
keywords={discrete time systems, investment, optimisation, stochastic processesdiscrete time periods, dynamic investment decisions, financial decision problem, investment returns, multistage investments, second order cone, semidefinite programs, single-asset case, stochastic multistage optimization problem, transaction costs},
doi={10.1109/CDC.2008.4738700},
ISSN={0191-2216},
}